How can a single Curve Interpolation Mode set to Constant?
You can select left-click-select every single Key in the Graph editor and press T to change the interpolation. This will always only affect the interpolation up to the next key of that one curve.

Further controls for this:


A deselects all keys, just like in edit-mode. 
L selects all keys of the curve of which one key is currently selected.
Tab locks the selected curve to prevent it from being edited.